Sparse Regression

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Sparse Regression Masterclass Sparse Regression 30 August – 1 September 2016 CRiSM Masterclass Sparse Regression Organization: Joris Bierkens with thanks to Mark Fiecas Administrative support: Olivia Garcia-Hernandez Contents 1 Practical Details 2 1.1 Conference Webpages . 2 1.2 Registration and Venue . 2 1.3 Getting Here . 2 1.4 Accommodation . 2 1.5 Internet Access . 3 1.6 Facilities . 3 2 Help, Information & Telephone Numbers 3 2.1 Department . 3 2.2 Emergency Numbers . 3 2.3 Transport . 3 3 Timetable 4 3.1 Tuesday 30 August . 4 3.2 Wednesday 31 August . 4 3.3 Thursday 1 September . 5 4 Scope 6 4.1 Richard Samworth (Cambridge): High-dimensional statistical inference . 6 4.2 Jianqing Fan (Princeton): Sparse Statistical Learning and Inference . 7 5 Posters 8 6 Participant List 10 A Warwick Conferences Delegate Information 12 B Warwick Conferences FAQ 14 C Campus Map 16 1 1 Practical Details 1.1 Conference Webpages • http://www2.warwick.ac.uk/sparse-regression 1.2 Registration and Venue • Registration: 9.30-10.30, Tuesday 30 August, Zeeman Building (map location H5-6), Atrium, which is located just behind the main entrance. • Coffee and lunch: are provided in the Atrium of the Statistics Department. • Lectures: Maths & Stats Building, MS.01. The lecture room MS.01 is located on the ground floor next to the Atrium. • Poster session and reception: Tuesday 30 August, 17.00 – 18.30, Atrium. See Section 5 for an overview of posters on display. • Masterclass dinner: 18.00, Wednesday 31 August, Radcliffe (map location F4). Estimated end time 21.00. • Breakfast (for participants with on-campus accommodation only): 7.30-9.30 (Tue-Thu), Rootes Building. The Rootes staff has kindly agreed to keep breakfast open until 9.30 instead of the usual 9.00. However, anyone arriving after 9.00 may need to have their breakfast cooked to order to ensure it is fresh. • Lunch: Mathematics and Statistics Building, Atrium. • Dinner is not organized (with the exception of the masterclass dinner on Wednesday, for those who regis- tered for this). Various options for dinner are available on campus (see the campus map on the back). • End of program: Thursday, 15.10. 1.3 Getting Here • Information on getting to the University of Warwick from Coventry, as well as from other directions locally and further afield, can be found at http://www.warwick.ac.uk/about/visiting/. • Parking permits can be acquired at no further cost at https://carparking.warwick.ac.uk/ events/crism-master-class-on-sparse-regression. • See Appendix A and B for further details. 1.4 Accommodation • Accommodation is in en-suite rooms on campus in either the Arthur Vick, Bluebell or Jack Martin resi- dences (on the campus map, see Appendix C). Keys can be collected from the Conference Reception in the Student Union Atrium, map location E5. All rooms have linen and toiletries. Kitchen facilities are available. Rooms will be available after 15:00 for check in. All bedrooms must be vacated by 9.30 on the day of departure. • Check in closes at 22.45. When arriving after this hour contact Conference Reception to arrange late key collection ([email protected] or 02476 528910). • See Appendix A, and B for further details. 2 1.5 Internet Access • Campus: Wireless access is most easily available via eduroam which is supported across most of the Warwick campus. Speak to one of the organisers for details of other options. • Accommodation: Wireless access is available, ask for log-in details whenever you check-in to your accommodation. 1.6 Facilities - See Map • Supermarket, Food and Drink Outlets: http://www.warwickretail.com See https://www2.warwick.ac.uk/services/retail/openingtimes/ for opening times. • Arts Centre: http://www.warwickartscentre.co.uk • Sports Centre: http://www.warwick.ac.uk/sport/ • Health Centre: http://www.uwhc.org.uk • Pharmacy: Student Union Atrium 2 Help, Information & Telephone Numbers 2.1 Department • Address: Department of Statistics, University of Warwick, Gibbet Hill Road, Coventry, CV4 7AL • Fax: 024 7652 4532 • Webpage: http://www.warwick.ac.uk/stats • Organization: Joris Bierkens, [email protected] • Administrative support: Olivia Garcia-Hernandez, [email protected], 024 7652 2177 2.2 Emergency Numbers • Emergency: Internal - 22222; External - 024 7652 2222 • Security: Internal - 22083; External - 024 7652 2083 2.3 Transport • Swift Taxis (Coventry): 024 7676 7676 • Trinity Street Taxis: 024 7699 9999 • National Rail Enquiries: 08457 484 950 3 3 Timetable All activities will take place in the Zeeman Building (map location H5-6), with talks in room MS.01 (signposted from lobby), unless otherwise stated. 3.1 Tuesday 30 August Time Activity Location 9.30 – 10.30 Registration & Coffee Atrium 10.30 – 12.00 Lecture MS.01 12.00 – 13.30 Lunch break Atrium 13.30 – 15.00 Lecture MS.01 15.00 – 15.30 Coffee break Atrium 15.30 – 17.00 Lecture MS.01 17.00 – 18.30 Reception and poster session Atrium 3.2 Wednesday 31 August Time Activity Location 10.00 – 10.30 Coffee Atrium 10.30 – 12.00 Lecture MS.01 12.00 – 13.30 Lunch break Atrium 13.30 – 15.00 Lecture MS.01 15.00 – 15.30 Coffee break Atrium 15.30 – 17.00 Lecture MS.01 18.00 – 21.00 Gala Dinner Radcliffe (map location F4) 4 3.3 Thursday 1 September Time Activity Location 10.00 – 10.30 Coffee Atrium 10.30 – 12.00 Lecture MS.01 12.00 – 13.30 Lunch break Atrium 13.30 – 15.00 Lecture MS.01 15.00 – 15.10 Closing remarks MS.01 5 4 Scope 4.1 Richard Samworth (Cambridge): High-dimensional statistical inference Lecture 1: Classical theory Review of the linear model, geometry of orthogonal projections, hypothesis testing, examples. Ridge regression. Lecture 2: Modern high-dimensional statistics Model selection via, e.g., information criteria. Definition of the Lasso and its geometry. Uniqueness of Lasso solutions. Prediction and estimation properties. Lecture 3: The Lasso and beyond Selection consistency of the Lasso. Computation. Brief discussion of other penalty functions, other models, e.g. grouped variables. Lecture 4: Multiple testing and Complementary Pairs Stability Selection Familywise error rate and Bonferroni procedure; False Discovery Rate and Benjamini–Hochberg procedure. Brief discussion of extensions. I will then use the remaining time to give an exposition of some of my own work in this area. Complementary Pairs Stability Selection is a technique for improving the performance of any existing variable selection algorithm, by aggregating the results of applying it on subsamples of the data. 6 4.2 Jianqing Fan (Princeton): Sparse Statistical Learning and Inference High-dimensionality and Big Data characterize many contemporary statistical problems from genomics and genetics to finance and economics. We first outline a unified approach to ultrahigh dimensional variable selection problems and then focus on penalized likelihood methods which are fundamentally important building blocks to ultra-high dimensional variable selection. We will also introduce variable screening methods as well as methods for guarding against suprious discoveries. Algorithms for solving penalized likelihood methods as well as Big Data computing will also be introduced. Topics to be covered include: 1. Sparse Learning via penalization 1.1 Introduction 1.2 Penalized Quasi-likelihood 1.3 Properties 1.4 One-Step Estimator 1.5 Analysis of Decomposable Regularization 2. Screening and Selection 2.1 Independence Screening 2.2 Iteratively Independent Learning 2.3 Conditional Sure Independence Screening 3. Control of Algorithmic Complexity and Statistical Error 3.1 Introduction 3.2 Overview of Gradient Methods 3.3 Iterative Local Adaptive MM 3.4 Theoretical Properties 3.5 Numerical results 4. Distributed Estimation and Inference 4.1 Introduction 4.2 Summary of Ideas and Results 4.3 Distributed statistical inference 4.4 Distributed estimation 4.5 Simulation performance 7 5 Posters 1. Non-Concave Penalized Log-Likelihood in Linear Mixed-Effect Models and the Regularized Selection of Fixed Effects Abhik Ghosh University of Oslo 2. Interpolation between Compact Binary Population Synthesis Models Jim Barrett University of Birmingham 3. Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian dependence Dominik Mueller Technical University of Munich 4. Degrees of Freedom for Piecewise Lipschitz Estimators Frederik Riis Mikkelsen University of Copenhagen 5. Clustering with a Reject Option: Interactive Clustering as Bayesian Prior Elicitation Akash Srivastava University of Edinburgh 6. Functional Inference Diego Granziol University of Oxford 7. Inference on covariance operators via concentration inequalities Adam B Kashlak University of Cambridge 8. Empirical comparison of penalised linear regression methods in high-dimensional settings Fan Wang University of Cambridge 9. Efficient Sampling in Bayesian Unlabelled Shape Analysis Anamul Haque Sajib University of Nottingham 8 10. Misleading Metrics: On Evaluating Machine Learning for Malware with Confidence Roberto Jordaney Royal Holloway University of London 11. Learning X given Y, in the absence of Training Data Cedric Spire University of Leicester 12. Distinguishing Distributions with Interpretable Features Wittawat Jitkrittum University College London 13. RSPINN: Redshift Space Power spectrum Interpolation with Neural Networks Joey Faulkner University of Edinburgh 14. Conditional density estimation of mixed continuous and categorical data Lena Reichmann University of Mannheim 15. Survival prognosis and variable selection: A case study for metastatic castration resistant prostate cancer patients
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